Whole body magnetic resonance imaging (WB-MRI) is the recommended modality for diagnosis of multiple myeloma (MM). WB-MRI is used to detect sites of disease across the entire skeletal system, but it requires significant expertise and is time-consuming to report due to the great number of images. To aid radiological reading, we propose an auxiliary task-based multiple instance learning approach (ATMIL) for MM classification with the ability to localize sites of disease. This approach is appealing as it only requires patient-level annotations where an attention mechanism is used to identify local regions with active disease. We borrow ideas from multi-task learning and define an auxiliary task with adaptive reweighting to support and improve learning efficiency in the presence of data scarcity. We validate our approach on both synthetic and real multi-center clinical data. We show that the MIL attention module provides a mechanism to localize bone regions while the adaptive reweighting of the auxiliary task considerably improves the performance.